Nathan Lassance

UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance

voie du roman, 34

Louvain-la-neuve, 1348

Belgium

SCHOLARLY PAPERS

5

DOWNLOADS

596

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Optimal Portfolio Diversification via Independent Component Analysis

Number of pages: 46 Posted: 09 Dec 2018 Last Revised: 29 Jan 2020
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, London Business School and Louvain Finance Center (LFIN), UC Louvain
Downloads 264 (121,780)
Citation 2

Abstract:

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

2.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, Forthcoming
Number of pages: 37 Posted: 16 May 2017 Last Revised: 25 Aug 2019
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 132 (227,897)
Citation 2

Abstract:

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Portfolio selection, Shannon entropy, Rényi entropy, Risk measure, Information theory, Risk parity

3.

A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

Applied Economics, Volume 50, Issue 10, pp. 1122-1137
Number of pages: 15 Posted: 17 Jul 2017 Last Revised: 05 Jan 2018
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 84 (311,123)

Abstract:

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Option Pricing, Dynamic Hedging, Stochastic Volatility, Payoff Replication, Calibration

4.

Information-Theoretic Approaches to Portfolio Selection

Louvain School of Management Doctoral Thesis
Number of pages: 240 Posted: 04 Jan 2020 Last Revised: 21 Jan 2020
Nathan Lassance
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance
Downloads 60 (374,422)

Abstract:

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Portfolio selection, higher moments, information theory, entropy, independent component analysis

5.

Robust Portfolio Selection Using Sparse Estimation of Comoment Tensors

Number of pages: 27 Posted: 01 Oct 2019 Last Revised: 06 Dec 2019
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 56 (387,083)
Citation 1

Abstract:

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portfolio selection, robustness, independent component analysis, higher moments